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Stock Index Futures (stock + index_future)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

The disposition effect and investment performance in the futures market

THE JOURNAL OF FUTURES MARKETS, Issue 6 2009
Hyuk Choe
This study examines whether the disposition effect (DE), i.e., the tendency of investors to ride losses and realize gains, exists in the Korean stock index futures market. Using a unique database, we find strong evidence for the DE and explain this in terms of investor characteristics. We also investigate the effect that the disposition bias has on investment performance. There are four main findings. First, individual investors are much more susceptible to the DE than institutional and foreign investors. Second, sophistication and trading experience tend to reduce the DE. Third, the DE is stronger in long positions than in short positions. Finally, there is a negative relationship between the DE and investment performance. This result is consistent with Odean (1998, Journal of Finance, 53, 1775,1798), but contrasts with Locke and Mann (2005, Journal of Financial Economics, 76, 401,444) who find no evidence of any contemporaneous measurable costs associated with the DE. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:496,522, 2009 [source]

Transaction tax and market quality of the Taiwan stock index futures

THE JOURNAL OF FUTURES MARKETS, Issue 12 2006
Robin K. Chou
On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid-ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999, through April 30, 2001, are tested in a three-equation structural model. Findings show that transaction taxes have a negative impact on trading volume and bid-ask spreads, as trading volume increased and bid-ask spreads decreased in the period following the reduction in the transaction tax. This study's analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility because there are no significant changes in price volatility after the tax reduction. Further, it was found that although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1195,1216, 2006 [source]

New evidence on expiration-day effects using realized volatility: An intraday analysis for the Spanish stock exchange

THE JOURNAL OF FUTURES MARKETS, Issue 9 2006
M. Illueca
Additional evidence is provided on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed by T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys (2003). Findings reveal not only a significant increase in spot trading activity, but also the existence of a significant jump in spot volatility at index futures expiration. Moreover, the importance of the data frequency considered is analyzed. Our research reveals that the use of GARCH methodology from daily data does not have the ability to statistically assess such expiration-day effect. Additional empirical evidence is provided for the S&P 500 stock index futures market. Neither unconditional nor conditional realized volatility has a significant increase at expiration for the U.S. market, suggesting that this effect is specific for the Spanish market, at least for the period analyzed. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:923,938, 2006 [source]

Dynamics of intraday serial correlation in the Italian futures market

THE JOURNAL OF FUTURES MARKETS, Issue 1 2006
Simone Bianco
The serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000,2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid,ask bounce effect. Although this supports the efficiency of the Italian futures market, evidence that intraday serial correlation becomes positive in high-volatility regimes is also provided. Moreover, it is found that it is mainly unexpected volatility that makes serial correlation rise, and not its predictable part. The results are supportive of the K. Chan (1993) model. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:61,84, 2006 [source]

The pricing of stock index futures spreads at contract expiration

THE JOURNAL OF FUTURES MARKETS, Issue 5 2002
Alex Frino
This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. This pattern in mispricing is related to a sharp decline in open interest in the near contract and an increase in open interest in the deferred contract. Further, the direction of mispricing of the near and deferred contracts are more likely to move in opposite directions as the near contract approaches maturity. These findings are consistent with the hypothesis that traders seeking to roll-over their positions from near to deferred futures contracts close to maturity increase the magnitude of spread mispricing. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:451,469, 2002 [source]

Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Hsiu-Chuan Lee
G14; G15; G18 Abstract This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results indicate that information regarding stock market liquidity is useful in predicting the optimal hedge ratio under different market conditions. In a bear market, the conditional OLS model with stock market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the generalized autoregressive conditional heteroskedasticity and conditional OLS models for the out-of-sample period in a bull market, the conditional OLS model with stock market liquidity outperforms the conditional OLS model without stock market liquidity in terms of downside risks (lower partial moment). [source]

Determination of stock closing prices and hedging performance with stock indices futures

ACCOUNTING & FINANCE, Issue 4 2009
Hsiu-Chuan Lee
G14; G15; G18 Abstract This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency in the futures closing prices and then enhances hedging performance in terms of the hedging risks. Additionally, from a utility-maximization point of view, hedging performance does not improve after the introduction of the 5 min stock closing call, which can be explained by an improvement in price efficiency at the futures market close. [source]